Depends on the program.
- Games: Proton works well 99% of the time.
- Office: I use LibreOffice as much as possible. At work, I use the Web version of MS Office; it doesn't have all features of the desktop version but it's good enough for my use case.
- Media editing (music, image, video): GIMP, Krita, Kdenlive and Ardour are more than enough for my personal use.
In general, I would recommend trying the Linux alternative, and if it's not good enough, use a Windows VM or dual-boot. If you spend 90% of your time in Photoshop or any other professional software without a Linux version or feature-complete alternative, you should stay on Windows, and maybe use Linux only when you're not working.